5Basak,S. ,Shapiro,A.. Value at risk based management:optimal policies and asset prices. Review of Financial Studies,2001,14:371-405.
6Berkelaar,A. ,Cumperayot,P. and Kouwenberg,R.. The effect of VaR based risk management on asset prices and volatility smile. European Financial Management,2002,(8):139-164.
7Danielsson,J. ,Shin,H. S. ,and Zigrand, J.P.. Asset price dynamic with value at risk limits. Working paper, Department of Accounting and Finance,and Financial Markets Group,London School of Economics,2001.
8Danielsson, J. ,Zigrand, J. P.. What happens when you regulate risk? . Evidence from a simple equilibrium model. Working paper,Department of Accounting and Finance,and Financial Markets Group,London School of Economics,2001.
9Karolyi,G. A. ,Stulz,R. M.. why do markets move together? . An investigation of U. S. -Japan stock return comovement. The Journal of Finance,1996,51 (3) : 951-986.
10Bae,K. H. ,Karolyi,G. h. ,and Stulz R.M. h new approach to measuring financial contagion,working paper,Ohio State University,2002.
二级参考文献3
1[1]Nelsen, R. B (1998), An Introduction to Copulas, Lectures Notes in Statistics, 139,Springer Verlag, New York.
2[2]Embrechts, P., Lindskog, F. And McNeil, A. (2001), Modelling Dependence with Copulas and Applications to Risk Management. Dept. of Math. CH-8092, Zürich, Switzerland.
3[3]Bouyé, E. (2000), Copulas for Finance, A Reading Guide and Some Applications. City University Business School,London.
